DEGREE 1989 "Thèse de Doctorat" (PhD) in Mathematics (Montpellier, Advisor : A. Berlinet)

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1 Christian FRANCQ CREST-ENSAE and University Lille 3 Address : CREST, Laboratory Finance-Insurance 15 Boulevard Gabriel Péri Malakoff Cedex, France christian.francq@ensae.fr or christian.francq@univ-lille3.fr Web page : Date of birth : January 23, DEGREE 1989 "Thèse de Doctorat" (PhD) in Mathematics (Montpellier, Advisor : A. Berlinet) 1997 "Habilitation à Diriger des Recherches" (tenure) (Lille I ; Examining board : A. Berlinet, D. Bosq, Y. Davydov, C. Gouriéroux, B. Massé, G. Mélard, X. Milhaud ; M.-C. Viano) POSITION Assistant Professor at the University Lille I, Laboratory of Statistic and Probability, from 1990 to September 1998 Full Professor of Mathematics at the University Littoral Côte d Opale, Laboratory LMPA Joseph Liouville, from September 1998 to September 2002, and at the University Charles-de-Gaulle Lille3, Laboratory EQUIPPE-GREMARS, since September 2002 In , CNRS delegation at the laboratory GRECSTA, UMR2773 located at CREST, Paris. Since September 2011, on secondment at ENSAE-CREST, Paris. TEACHING Data analysis, econometrics, probability, statistics, time series, risk measure (see my web page for details). RESEARCH Research interests : Time Series Analysis, Statistics, Econometrics and Finance. 1. Main publications PUBLICATIONS Francq, C. and Zakoïan, J-M. Inference in non stationary asymmetric GARCH models, Annals of Statistics 41, 70-98, Francq, C., Wintenberger, O. and and Zakoïan, J-M. Garch models without positivity constraints : exponential or log garch? Journal of Econometrics 177, 34-46, Francq, C. and Zakoïan, J-M. Estimating the marginal law of a time series with applications to heavy tailed distributions Journal of Business & Economic Statistics 31, , Francq, C. and Zakoïan, J-M. Optimal predictions of powers of conditionally heteroskedastic processes, Journal of the Royal Statistical Society - Series B 75,

2 Francq, C. and Zakoïan, J-M. Strict stationarity testing and estimation of explosive and stationary GARCH models, Econometrica 80, , Boubacar Mainassara, Y., Carbon, M. and Francq, C. Computing and estimating information matrices of weak ARMA models, Computational Statistics and Data Analysis 56, , Francq, C., Lepage, G. and Zakoïan, J-M. Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE, Journal of Econometrics 165, , 2011 Francq, C., Horváth L. and Zakoïan, J-M. Merits and drawbacks of variance targeting in GARCH models, Journal of Financial Econometrics 9, , Carbon, M. and Francq, C. Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models, Austrian Journal of Statistics 40, 55 64, Francq, C., Roy, R. and Saidi, A. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models, Journal of Time Series Analysis 32, , Francq, C. and Zakoïan, J-M. QML estimation of a class of multivariate asymmetric GARCH models, Econometric Theory 28, 1 28, Boubacar Mainassara, Y. and Francq, C. Estimating structural VARMA models with uncorrelated but non-independent error terms, Journal of Multivariate Analysis 102, , Dabo-Niang, S., Francq, C. and Zakoïan, J-M. Combining Nonparametric and Optimal Linear Time Series Prediction, Journal of the American Statistical Association 105, , Francq, C. and Zakoïan, J-M. Inconsistency of the MLE and inference based on weighted LS for LARCH models, Journal of Econometrics 159, , Carbon, M., Francq, C. and Tran, L.T. Asymptotic normality of frequency polygons for random fields, Journal of Statistical Planning and Inference 140, , Francq, C., Horváth L. and Zakoïan, J-M. Sup-tests for linearity in a general nonlinear AR(1) model, Econometric Theory 26, , Francq, C. and Zakoïan, J-M. Bartlett s formula for a general class of non linear processes, Journal of Time Series Analysis 30, , Francq, C. and Zakoïan, J-M. Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons, Journal of the American Statistical Association 104, , Francq, C. and Zakoïan, J-M. Estimating ARCH Models When the Coefficients are Allowed to be Equal to Zero, Austrian Journal of Statistics 37, 31 40, Francq, C., Makarova, S. and Zakoïan, J-M. A class of stochastic unit-root bilinear processes : mixing properties and unit-root test, Journal of Econometrics 142, , Francq, C. and Zakoïan, J-M. Deriving the autocovariances of powers of Markovswitching GARCH models, with applications to statistical inference, Computational Statistics and Data Analysis 52, , 2008.

3 Francq, C. and Zakoïan, J-M. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero, Stochastic Processes and their Applications 117, , Francq, C. and Raïssi, H. Multivariate Portmanteau Test for Autoregressive Models with Uncorrelated but Nonindependent Errors, Journal of Time Series Analysis 28, , Francq, C. and Zakoïan, J-M. HAC estimation and strong linearity testing in weak ARMA models, Journal of Multivariate Analysis 98, , Carbon, M., Francq, C. and Tran, L.T. Kernel Regression Estimation for Random Fields, Journal of Statistical Planning and Inference 137, , El Ghini, A. and Francq, C. Asymptotic Relative Efficiency of Goodness-of- Fit Tests Based on Inverse and Ordinary Autocorrelations, Journal of Time Series Analysis 27, , Francq, C. and Zakoïan, J-M. Linear-representation Based Estimation of Stochastic Volatility Models, Scandinavian Journal of Statistics 33, , Francq, C. and Zakoïan, J-M. Mixing properties of a general class of GARCH(1,1) models without moment assumptions on the observed process, Econometric Theory 22, , Francq, C., Roy, R. and Zakoïan, J-M. Diagnostic Checking in ARMA Models with Uncorrelated Errors, Journal of the American Statistical Association 100, , Francq, C. and Zakoïan, J-M. The L2 Structures of Standard and Switching- Regime GARCH Models, Stochastic Processes and Their Applications 115, , Francq, C. and Zakoïan, J-M. A Central Limit Theorem for Mixing Triangular Arrays of Variables Whose Dependence is Allowed to Grow With the Sample Size, Econometric Theory 21, , Francq, C. and Zakoïan, J-M. Maximum Likelihood Estimation of Pure GARCH and ARMA-GARCH Processes, Bernoulli 10, , Francq, C. and Gautier, A. Large Sample Properties of Parameter Least Squares Estimates for Time-Varying ARMA Models, Journal of Time Series Analysis 25, , Francq, C. and Gautier, A. Estimation of Time-Varying ARMA Models with Markovian Changes in Regime, Statistics and Probability Letters 70, , Bibi, A. and Francq, C. Consistent and Asymptotically Normal Estimators for Time-Dependent Linear Models, Annals of the Institute of Statistical Mathematics 55, 41 68, Francq, C. and Tran, L. T. Nonparametric Estimation of Density, Regression And Dependence Coefficients, Nonparametric Statistics 14, , Francq, C. and Zakoïan, J-M. Autocovariance Structure of Powers of Switching- Regime ARMA Processes, ESAIM P&S 6, , 2002.

4 Francq, C. and Zakoïan, J-M. Comments on the paper by Minxian Yang "Some properties of vector Autoregressive processes with Markov-Switching coefficients, Econometric Theory 18, , Broze, L., Francq, C. and Zakoïan, J-M. Efficient use of higher-lag autocorrelations for estimating autoregressive processes, Journal of Time Series Analysis 23, , Broze, L., Francq, C. and Zakoïan, J-M. Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Economics Letters 71, , Francq, C. and Zakoïan, J-M. Stationarity of multivariate Markov-switching ARMA models, Journal of Econometrics 102, , Francq, C., Roussignol, M. and Zakoïan, J-M. Conditional heteroskedasticity driven by hidden markov chains, Journal of Time Series Analysis 22, , Francq, C. and Zakoïan, J-M. Estimating weak GARCH representations, Econometric Theory 16, , Francq, C. and Zakoïan, J-M. Covariance matrix estimation for estimators of mixing weak ARMA models, Journal of Statistical Planning and Inference 83, , Francq, C. and Zakoïan, J-M. Multivariate ARMA models with generalized autoregressive linear innovation, Stochastic Analysis and Applications 18, , Berlinet, A. and Francq, C. Estimation des covariances entre autocovariances empiriques de processus multivariés non linéaires, La revue Canadienne de Statistique 27, , Carbon, M. and Francq, C. Estimación no paramétrica de la densidad y de la regresión Previsión no paramétrica, Revista de Matemática : Teoría y Aplicaciones 6, 1 26, Francq, C. ARMA models with bilinear innovations, Stochastic Models 15, 29 52, Berlinet, A. and Francq, C. On the identification of minimal VARMA representations, Statistical Inference for Stochastic Processes 1, 1 15, Francq, C. and Roussignol, M. Ergodicity of autoregressive models with Markovswitching and consistency of the maximum-likelihood estimator, Statistics 32, , Francq, C. and Zakoïan, J-M. Estimating linear representations of nonlinear processes, Journal of Statistical Planning and Inference 68, , Francq, C. and Roussignol, M. On white noises driven by hidden Markov chains, Journal of Time Series Analysis 18, , Berlinet, A. and Francq, C. On Bartlett s formula for nonlinear processes, Journal of Time Series Analysis 18, , Francq, C. and Menvielle, M. A model for the am (Km) planetary geomagnetic activity index and application to prediction, Geophys. J. Int. 125, , 1996.

5 Berlinet, A. and Francq, C. Identification of a univariate ARMA model, Computational Statistics 9, , Berlinet, A. and Francq, C. Stationnarité et identification d un processus purement bilinéaire et strictement superdiagonal, Statistique et Analyse des Données 15, 1 24, Chapters of books and Handbooks Francq, C. and Zakoïan, J-M. Multi-level Conditional VaR Estimation in Dynamic Models, in Modeling Dependence in Econometrics, Advances in Intelligent Systems and Computing. Edts : Huynh, Van-Nam and Kreinovich, Vladik and Sriboonchitta, Songsak. Springer International Publishing 251, 3 19, Amendola, A. and Francq, C. Concepts of and tools for nonlinear time series modelling. Handbook of Computational Econometrics, Edts : D. Belsley and E. Kontoghiorghes, Wiley, Francq, C. and Zakoïan, J-M. A tour in the asymptotic theory of GARCH estimation. Handbook of Financial Time Series, Edts : T. G. Andersen, R.A. Davis, J-P. Kreiss, T. Mikosch. Springer Statistics, Francq, C. and Zakoïan, J.M. On Efficient Inference in GARCH Processes, Dependence in Probability and Statistics, Ed. by P. Bertail, P. Doukhan and P. Soulier, Lecture Notes in Statistics 187, Springer-Verlag New York, , Francq, C. and Zakoïan, J-M. Recent results for linear time series models with non independent innovations, in Statistical Modeling and Analysis for Complex Data Problems, Duchesne, P. et Rémillard, B., Éditeurs, Springer, , Comptes Rendus de l Académie des Sciences Francq, C. and Gautier, A. Estimation de modèles ARMA à changements de régime récurrents, C. R. Acad. Sci. Paris, 339, 55-58, Francq, C., Roussignol, M. and Zakoïan, J-M. Modèles ARCH avec changement de régime markovien, C. R. Acad. Sci. Paris, 330, , Francq, C. and Zakoïan, J-M. Stationnarité des modèles ARMA à changement de régime markovien, C. R. Acad. Sci. Paris, 330, , Francq, C. and Zakoïan, J-M. Estimation de représentations GARCH faibles, C. R. Acad. Sci. Paris, 326, , Francq, C. and Zakoïan, J-M. Estimation de la précision asymptotique dans l estimation de modèles ARMA faibles, C. R. Acad. Sci. Paris, 326, , Francq, C. and Zakoïan, J-M. Estimation de représentations ARMA faibles sous hypothèses de mélange, C. R. Acad. Sci. Paris, 323, , Proceedings Francq, C. and Meintanis, S.G. Fourier type estimation of the power GARCH model with stable Paretian innovations, Proceedings of the 10th international conference Computer Data Analysis and Modeling, Minsk, Francq, C. and Zakoïan, J-M. Optimal predictions of powers of conditionally heteroskedastic processes, Proceedings of the ninth international conference Computer Data Analysis and Modeling, Minsk, 2010.

6 Duchesne, P. and Francq, C. On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and {2}-inverses, COMPS- TAT 2008, Proceedings in Computational Statistics, , Francq, C. and Zakoïan, J-M. Autocovariance Structure of Markov-Switching ARMA and GARCH Processes. In : Mathematisches Forschungsinstitut Oberwolfach Report No. 12/2008 : Mini-Workshop on "Time Series with Sudden Structural Changes", , 2008, Oberwolfach, Germany. Francq, C. and Zakoïan, J-M. Testing that some GARCH coefficients are equal to zero, Proceedings of the eighth international conference Computer Data Analysis and Modeling, Minsk, 1, 54 59, Francq, C. and Zakoïan, J-M. Linear Representations based Estimation of Switching Regime GARCH Models, NBER Time Series Conference Proceedings, Francq, C. and Zakoïan, J-M. Estimating the order of weak ARMA models, Prague Stochastic 98 Proceedings, 1, , Berlinet, A. and Francq, C. Estimating the covariance between two sample autocovariances, Transactions of the 12th Prague Conference, Academy of Science of the Czech Republic, Prague, 35 38, Other publications S. Auray, C. Francq et J.-M. Zakoian Nobel 2011 d économie Quelques remarques sur les prix Nobel 2011 d économie et la modélisation des séries économiques. Images des Mathématiques, CNRS, En ligne, URL : math.cnrs.fr/nobel-2011-d-economie.html D.A. Belsley, C.W.S. Chen, C. Francq, G. Gallo, L. Khalaf, E.J. Kontoghiorghes and H.K. van Dijk The sixth special issue on computational econometrics, Editorial, Computational Statistics and Data Analysis, 56, , Amendola, A., Francq, C. and Koopman, S.J. Special Issue on Nonlinear Modelling and Financial Econometrics, Editorial, Computational Statistics and Data Analysis, 51, , Carbon, M. and Francq, C. Estimation non paramétrique de la densité et de la régression, Revue Modulad, 15, 1 25, Book Francq, C. and Zakoïan, J-M. Modèles GARCH : structure, inférence statistique et applications financières. Economica, collection "économie et statistiques avancées", 2009, 605 pages. Francq, C. and Zakoïan, J-M. GARCH Models : structure, statistical inference and financial applications. John Wiley, 2010, ISBN Preprint El Ghourabi, M., Francq, C and Telmoudi, F. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified, MPRA Paper 51150

7 Francq, C. and Sucarrat, G. An Exponential Chi-Squared QMLE for Log- GARCH Models Via the ARMA Representation, MPRA Paper Francq, C. and Meintanis, S. Fourier-type estimation of the power garch model with stable-paretian innovations, MPRA Paper Francq, C. and Zakoïan, J-M. Risk-parameter estimation in volatility models, MPRA Paper Francq, C., Horváth, L. and Zakoïan, J-M. Variance targeting estimation of multivariate GARCH models Duchesne, P. and Francq, C. On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses. MPRA working paper CONFERENCES, SEMINARS Estimating MGARCH models equation-by-equation, CFE, 14 December 2013, London. Fourier type Estimation of GARCH Models with Stable Paretian Innovations, JISTA, 26 November 2013, Alger. Fourier type Estimation of GARCH Models with Stable Paretian Innovations, Mathematics and Statistics Seminar, Department of Mathematics and Statistics, University of Cyprus, 15 November 2013, Nicosia. Fourier type Estimation of GARCH Models with Stable Paretian Innovations, 7th Annual Methods in International Finance Network Workshop, September 23-24, 2013, Namur. Fourier type Estimation of GARCH Models with Stable Paretian Innovations, CDAM 2013, 11 September 2013, Minsk. Risk-parameter estimation in volatility models, JdS-SFDS, 29 May 2013, Toulouse. GARCH models without positivity constraints : Exponential or Log GARCH? 4th Meeting on Statistics and Data Mining (MSDM), March 14-15, 2013, Hammamet. Risk-parameter estimation in volatility models, London School of Economics, Joint Econometrics and Statistics Seminar Series, 15 February 2013, London. Risk-parameter estimation in volatility models, BI Seminar series, 30 Jan 2013, Oslo. Risk-parameter estimation in volatility models, CFE 2012, December 1, Oviedo. Risk-parameter estimation in volatility models, JSTAR 2012, October 25-26, 2012, Rennes GARCH models without positivity constraints : Exponential or Log GARCH? ESEM, August 27, 2012, Malaga. Comments on the paper "Forecasting GDP over the business cycle in a multi-frequency and data-rich environment" by M. Bessec and O. Bouabdallah, discussion, BdF seminar, June 6, GARCH models without positivity constraints : Exponential or Log GARCH? Statistical Models for Financial Data III, May 23, 2012, Graz Risk-parameter estimation in volatility models 3rd Meeting on Statistics and Data Mining (MSDM), March 15-16, 2012, Hammamet. Estimating the marginal distribution of heavy tailed time series, La 3e Journée d Economie de l Ensai, 26 janvier 2012, Rennes.

8 Strict stationarity testing and estimation of explosive and stationary GARCH models, Workshop "Time Series : Models, Breaks and Applications", Karlsruhe Institute of Technology, February 2, Estimating the marginal distribution of heavy tailed time series, CFE 11, December 18, 2011, London. Estimating the marginal distribution of heavy tailed time series, ESEM/EEA meeting, 28 August 2011, Oslo. Reparameterizations in GARCH models with applications to optimal prediction and estimation, June , Conference in honor of Guy Mélard, Université Libre de Bruxelles. Estimating the marginal distribution of heavy tailed time series, JSD 2011, May , Tunis. Testing strict stationarity of GARCH, 19 mai 2011, 5ème Journée Math- Eco, Lille. Testing strict stationarity of GARCH, April 5, 2011, Sémimaine de Finance, CREST. Testing strict stationarity in GARCH models, 10 mars 2011, University College London, Londres. Optimal predictions of powers of conditionally heteroscedastic processes, 14 décembre 2010, Second French Econometrics Conference, ENSAE, Paris. Optimal predictions of powers of conditionally heteroscedastic processes, 9th International Conference Computer Data Analysis and Modeling : Complex Stochastic Data and Systems, 9 September 2010, Minsk, Belarus. Optimal predictions of powers of conditionally heteroscedastic processes, August 2010, Econometric Society World Conference, Shanghai. Strict stationarity testing and estimation of explosive ARCH models, 14 May 2010, ECARES seminar, ULB, Brussels. Optimal predictions of powers of conditionally heteroscedastic processes, 23 April 2010, Tinbergen Institute, Amsterdam. Optimal predictions of powers of conditionally heteroscedastic processes, JISTA, Avril 2010, Sidi Bel Abbes, Algeria. Merits and drawbacks of variance targeting in GARCH models, (CFE 09), Chypre, 30 October Merits and drawbacks of variance targeting in GARCH models, ESEM/EEA meeting, 27 August 2009, Barcelone. Résultat récents sur l estimation des modèles GARCH, Cours de formation par la recherche donné à la faculté de mathématiques USTHB, 11 et 12 May 2009, Alger. Merits and drawbacks of variance targeting in GARCH models, Séminaire de la faculté de mathématiques USTHB, 11 May 2009, Alger. Merits and drawbacks of variance targeting in GARCH models, GERAD Seminar, 5 March 2009, Montréal. Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons, Journées JSTAR, 5 December 2008, Rennes. Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons, ESEM/EEA meeting, 27 August 2008, Milan. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models, First Workshop of the ERCIM Working Group on Computing & Statistics June 20th, 2008, Neuchâtel, Suisse. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models, STATDEP 2008, Statistiques pour Données Dépendantes, Paris/Malakoff, 5 June 2008.

9 Autocovariance Structure of Markov-Switching ARMA and GARCH Processes, Mini-Workshop : Time Series with Sudden Structural Changes Organised by Richard Davis and Jürgen Franke, Mathematisches Forschungsinstitut Oberwolfach, February 24th - March 1st, Quasi-likelihood inference in GARCH Processes when some coefficients are equal to zero, 8th International Conference Computer Data Analysis and Modeling : Complex Stochastic Data and Systems, 13 September 2007, Minsk, Biélorussie. Combining parametric and nonparametric approaches for time series prediction, Congrès ESEM, 30 August 2007, Budapest, Hungary. Quasi-likelihood inference in GARCH Processes when some coefficients are equal to zero, Statistical models for financial data II, 25 May 2007, Graz, Autriche. Combining parametric and nonparametric approaches for time series prediction, International Workshop on Computational And Financial Econometrics, 20 April 2007, Genève, Suisse. Mini-cours sur les modèles GARCH et à volatilité stochastique, laboratoire de statistique du CRM, Université de Montréal, 14 March Estimating and testing GARCH processes when the parameter is on a boundary, colloque CRM-ISM-GERAD de statistique, Concordia, Montréal, 9 March Participation au meeting "Nonstationary multivariate and nonlinear econometrics models : theory and application" du projet INTAS , Varsovie, November Estimating and testing GARCH processes when the parameter is on a boundary, Séminaire ULB, 3 November Stochastic unit-root bilinear processes, Congrès Computing in Economics and Finance, Limassol, Chypre, June A class of stochastic unit-root bilinear processes : mixing properties and unit-root test, Congrès ESEM, Vienne, 27 August Utilisation des modèles GARCH dans la modélisation des séries financières (2ème partie), Journées mathématiques pour l économie, Lille 1, January A class of stochastic unit-root bilinear processes : mixing properties and unit-root test, meeting "Nonstationary multivariate and nonlinear econometrics models : theory and application" du projet INTAS , Lille 3, 30 September Estimation de modèles GARCH par quasi-maximum de vraisemblance avec paramètre sur le bord, Séminaire de Statistique, Rennes 2, 20 May Maximum likelihood estimation of GARCH processes when the parameter is on the boundary of the parameter space, STATDEP 2005, Statistiques pour Données Dépendantes, Paris/Malakoff, 26 January Maximum Likelihood Estimation of Pure GARCH and ARMA-GARCH Processes, 59th European Meeting of the Econometric Society (ESEM), Madrid, 21 August Participation au meeting "Nonstationary multivariate and nonlinear econometrics models : theory and application" du projet INTAS , St Peterbourg, March Maximum Likelihood Estimation of Pure GARCH and ARMA-GARCH Processes Seminar ECARES, Bruxelles, 10 December Modèles ARMA avec innovations linéaires non indépendantes. Université de Montréal, Groupe de travail, 17, 19 and 24 March L2 Structures of Standard and Switching-Regime GARCH Models and their Implications for Statistical Inference Colloque de statistique de Montréal, 21 March Test d adéquation de modèles ARMA avec erreurs non indépendantes. Département de mathématiques et de statistique, Université Laval, Québec, 20 March L2 Structures of Standard and Switching-Regime GARCH Models and their Implications for Statistical Inference GREMARS, Lille 3, November Linear-representation based estimation of Switching-regime GARCH models. Joint meeting, Atlanta, USA, August ARMA fort contre ARMA faible. Deuxième Rencontre d Econométrie et Statistique Lille 3 - Littoral, Villeneuve d Ascq, June 2001.

10 Test de l hypothèse ARMA fort contre ARMA faible. XXXIII Journées de Statistique, Nantes, May Stationnarité et structure des autocovariances des ARMA à changement de régime markovien. Séminaire de Statistique, Montpellier, November Estimation des modèles GARCH à changement de régime markovien à l aide de représentations linéaires faibles. Journées MAS, Rennes, September Estimation de modèles à volatilité stochastique : une approche fondée sur des représentations ARMA (avec J-M. Zakoïan). XXXII Journées de Statistique, Fès, Maroc, May An alternative estimation procedure for dynamic factor models. Rencontre Franco-Belge de Statisticiens, Bruxelles, November Stationarity of multivariate Markov-switching ARMA models. ESEM, Santiago De Compostela, September Linear-representation based estimation of Switching-regime GARCH models (avec J-M. Zakoïan). NBER Time Series Seminar, Taïwan, August Processus conditionnellement hétéroscédastiques avec changement de régime markovien. Séminaire du LMPA Joseph Liouville, December 1998 Stationnarité des modèles ARMA à changement de régime markovien. Journées de l ASU, Grenoble, May Processus conditionnellement hétéroscédastiques avec changement de régime markovien. Séminaire de Statistique du CREST, June Estimating the autocovariances of multivariate nonlinear processes. Workshop on Time Series Analysis, Montréal, March Processus conditionnellement hétéroscédastiques avec changement de régime markovien. XVIIIème rencontre Franco-Belge de statisticiens, Louvain-la-Neuve, November Précision asymptotique dans l estimation de modèles ARMA faibles. Journées de l ASU, Carcassonne, May Estimation de représentations ARMA faibles (avec J-M. Zakoïan). Exposé au séminaire de Statistique et Probabilités de Lille I, 5 March Discussion sur un papier de Billio, Monfort et Robert au séminaire Malinvaud, CREST, February Estimation de modèles de Markov cachés. Exposé au séminaire de l ENSAI à Rennes, February Estimation de modèles de Markov cachés. Exposé au séminaire GREMARS-Lille3, February Covariance de l autocovariance empirique d un processus multivarié. Journées de l ASU, Québec, May Sur des modèles de Markov cachés. Exposé au séminaire de Statistique et Probabilités de Montpellier, February Sur des modèles de Markov cachés. Exposé au séminaire de Statistique et Probabilités de Lille I, 20 December Estimation des représentations linéaires de processus non linéaires. XVIème rencontre Franco- Belge de statisticiens, Bruxelles, November ARMA multivarié avec innovation linéaire autorégressive généralisée. Journées de l ASU, Jouy-en-Josas, May Estimating the covariance between two sample autocovariances. Twelfth Prague conference, Czech republic, 31 August Estimation non paramétrique des covariances entre les autocovariances empiriques d un processus stationnaire. Exposé à la deuxième Journée de Statistique et Probabilités de Dunkerque, Estimation non paramétrique des covariances entre les autocovariances empiriques d un processus stationnaire. Exposé à l institut de Statistique de l université libre de Bruxelles, 6 May 1994.

11 Modélisation d une série chronologique ; application aux indices magnétiques. Exposé à l observatoire du parc Saint Maur - CRPE, 10 February Modélisation bilinéaire des innovations linéaires d un ARMA. Exposé aux Journées EDF- Université, Marne la Vallée, 3 December Une classe de modèles non linéaires en séries temporelles. Exposé lors d une invitation à l université de Coimbra, Portugal, 3 September Modèles ARMA uni ou multivariés avec innovation bilinéaire. Exposé à la première Journée de Statistique et Probabilités de Dunkerque, A Statistical Study of the am Indices ; Search for Forecasting Possibilities (avec M. Menvielle). Exposé au congrés IAGA, Buenos Aires, Modèles ARMA avec innovation bilinéaire. Exposé aux Journées de l ASU à Vannes, Modélisation bilinéaire d une série chronologique. Exposé au séminaire de Statistique et Probabilités de Lille I, 15 April Identification des modèles ARMA multivariés. Exposé aux Journées de l ASU à Tours, Stationnarité et identification d un processus purement bilinéaire et strictement superdiagonal. Poster présenté aux Journées de l ASU à Tours, Identification des modèles ARMA multivariés. Exposé au séminaire de Statistique et Probabilités de Lille I, 10 January OTHER RESEARCH ACTIVITIES 1. PHD Supervision Completed PHD G. Lepage, Modèles de la volatilité mal spécifiés : problèmes d estimation et conséquences pour la mesure du risque. PhD thesis from Lille III (co-supervised with J-M. Zakoïan), December 13, T. Hamadeh, Inférence statistique de modèles GARCH non lin04éaires. PhD thesis from Lille III (co-supervised with J-M. Zakoïan), June 11, Y. Boubacar Mainassara, Estimation, validation et identification des modèles ARMA faibles multivariés. PhD thesis from Lille III (co-supervised with J-M. Zakoïan), November 28, A. El Ghini, Contribution à l identification de modèles de séries temporelles. PhD thesis from Lille III (co-supervised with J-M. Zakoïan), December 6, H. Raïssi, Contribution à l inférence statistique des modèles vectoriels autorégressifs et à correction d erreurs. PhD thesis from Lille III (co-supervised with J-M. Zakoïan), November 29, A. Gautier, Modèles de séries temporelles à coefficients dépendant du temps. PhD thesis from Lille III (co-supervised with J-M. Zakoïan), December 7, A. Bibi, Quelques contributions à l analyse des modèles bilinéaires à coefficients dépendant du temps. PhD thesis from the university of Constantine, Algeria, October 27, Current PhD Fedya Telmoudi, Financial Risk Estimation Based on Value at Risk Modeling (PhD thesis started in September 2011, co-supervised with M. Limam, at the University of Tunis and Lille 3).

12 Ali Ahmad, Modèlisation des séries chronologiques à valeurs entières (PhD thesis started in September 2012, co-supervised with J-M. Zakoïan). Le Quyen Thieu, Modèles temporels avec variables exogènes. (PhD thesis started in September 2013, co-supervised with D. Bosq). 2. Editorial activities Associate Editor of the revue Journal of Time Series Analysis Associate Editor of the revue Computational Statistics and Data Analysis and Guest Associate Editor for The Annals of Computational and Financial Econometrics (CFE) Member of the Editorial Board of the revue Statistical Inference for Stochastic Processes. With Boswijk, P., Hallin, M., Taylor, R. invited editor for the special issue Time Series Econometrics of the review Computational Statistics and Data Analysis, With Belsley, D.A., Chen, C.W.S., Gallo, G., Khalaf, L., Kontoghiorghes E.J. and Van Dijk, H.K., invited editor for the special issue Computational Econometrics of the review Computational Statistics and Data Analysis, en cours. With Amendola, A. and S.J. Koopman, I was invited editor for the special issue Nonlinear Modelling and Financial Econometrics of the review Computational Statistics & Data Analysis 51, Member of Scientific Program Committees Conference Computational and Financial Econometrics (CFE 14), University of Pisa, Italy, from Saturday 6th of December to Monday 8th of December. Member of Scientific Advisory Committee for the Programme Inference for Change- Point and Related Processes, 13 Jan-7 Feb 2014, Isaac Newton Institute for Mathematical Sciences. Meeting on Statistics and Data Mining (MSDM 2013), Hammamet, Tunisia, March 14-15, Conference Computational and Financial Econometrics (CFE 13), London, December 14-16, Conference Computational and Financial Econometrics (CFE 12), Oviedo, Spain, December 1-3, Third Meeting on Statistics and Data Mining (MSDM 2012), Hammamet, Tunisia, March 15-16, Co-Chair of the 5th CSDA International Conference on Computational and Financial Econometrics (CFE 11), December 2011, Senate House, University of London SFdS Congress, Tunis, May Conference Computational and Financial Econometrics (CFE 10), December 2010, Senate House, University of London Conference COMPSTAT 2010, August 22-27, Paris

13 Computational and Financial Econometrics (CFE 09) October 29-31, 2009, Cyprus International Symposium on Operational Research (ISOR 08), November 02-06, 2008, Alger. workshop Computational and Financial Econometrics (CFE 08), June 19-21, 2008, Neuchâtel. workshop Computational and Financial Econometrics, April 20-22, 2007, Geneva. 3rd World Conference Computational Statistics and Data Analysis, Octobre, , Cyprus. 4. Conference and session (co-)organization session "Multiple risks management", for the congress Computational and Financial Econometrics (CFE 13), 15 December 2013, London. session "New developments in GARCH models and financial series modelling ", for the congress Computational and Financial Econometrics (CFE 12), 1 December 2012, Oviedo, Spain. invited session "Financial Time Series Modelling", for the congress Computational and Financial Econometrics (CFE 11), December 2011, University of London. session "Heavy-tailed time series", for the congress Computational and Financial Econometrics (CFE 10), December 2010, University of London. 3 sessions "Time series analysis and economic applications", "Forecasting and applied econometrics" and "Economic and financial time series analysis" for the congress Computational and Financial Econometrics (CFE 09), October 2009, Cyprus. session Time Series and Financial Econometrics, for the workshop Computational and Financial Econometrics (CFE 08), June 19-21, 2008, Neuchâtel. session Time Series, for the joint-meeting Société Statistique du Canada and Société Française de Statistique, May 25-29, 2008, Ottawa. session Nonlinear time series analysis & financial econometrics, for the workshop Computational and Financial Econometrics, April 20-22, 2007, Geneva. co-organization of a session for the meeting Journées MAS de la SMAI, September 4-6, 2006, Lille 1. co-organization of a session for the 3rd World Conference Computational Statistics & Data Analysis, October 28-31, 2005, Cyprus. co-organization of the meeting Nonstationary multivariate and nonlinear econometrics models : theory and application for the project INTAS , September 29-30, 2005, Lille 3. in 2000, 2001, 2002, 2003 and 2004, co-organization of the meeting Rencontres d économétrie et de statistique Lille 3-Littoral, Calais and Lille 3. session Modèles à changement de régime markovien for the congress Nouvelles directions en analyse des séries temporelles, Avril 2001, Marseille. 5. Refereeing

14 Manuscript refereeing for Annals of Statistics, Canadian Journal of Statistics, Communications in Statistics - Theory and Methods, Comptes Rendus de l Académie des Sciences, Computational Statistics, Computational Statistics and Data Analysis, Economics Letters, Econometric Theory, Econometrics Journal, Empirical Economics, International Statistical Review, Journal of Applied Operational Research, Journal of Business and Economic Statistic, Journal of Inequalities and Applications, Journal of the Korean Statistical Society, Journal of Multivariate Analysis, Journal of Statistical Planning and Inference, Journal of the American Statistical Association, Journal of the Royal Statistical Society B, Journal of Time Series Analysis, La revue Canadienne de Statistique, Model Assisted Statistics and Applications, Numerical Algorithms, Revue de Statistique Appliquée, Revue Maghrébine de Mathématiques, Statistica Sinica, Statistical Inference for Stochastic Processes, Statistics, Studies in Nonlinear Dynamics & Econometrics, several books. Project research refereeing for the agency National Fund for Scientific & Technological Development (Fondecyt) in 2007, for the agency Austrian Science Fund in 2008, and for the NSA Mathematical Sciences Grant Program in 2012, for the Research Grant Council (RGC) of Hong Kong in 2013, for NSA Math. Sci. Grant Prog. in Member of an expert committee for the evaluation of a laboratory, for the agency Agence d Evalution de la Recherche et de l Enseignement Supérieur (AERES) in Invitations University of Coimbra (1993), Université de Montréal (2003, 2007 and 2009), University USTHB at Alger (2009), University of Athens (2013), Isaac Newton Institute (2014). Villeneuve d Ascq, February 2, 2014.